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Daily volatility forecasts : reassessing the performance of GARCH models
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 23 (2004) 6, pp. 449-460
Persistent link: https://www.econbiz.de/10002233160
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Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
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Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?
Mcmillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-344
Persistent link: https://www.econbiz.de/10009971921